Semivariance and Stochastic Dominance: A Comparison.

This article analyzes the relationship between stochastic dominance (SD) and mean-semivariance (ES) criteria. This paper contains two main results. First, there are good conceptual bases for anticipating greater consistency between ES and second SD (SSD) rules than between mean-variance (EV) and SSD rules. In particular, with one possible and relatively minor exception (identical mean and semivariance, the efficient set of portfolios derived from the ES rule with semivariance calculated around a fixed point is a subset of the SSD efficient set.